The reason you're not meant to sleep on your back is as the baby gets bigger it can put pressure on your spinal cord (I think this is what I was told). So it is in the last trimester.

But as Tracey says... I don't think it is a huge deal. I found that side sleeping was getting really uncomfortable when I was first pregnant. I put pillows under my legs to raise them up and it took pressure off my back.

Like others said, I got one of those 'V' pillows (just a cheapy from a department store) - and I would put one side under my belly, and the other side between my legs. It also became a good feeding pillow when the baby arrived. To prevent you from rolling onto your back, you can also wedge a pillow along your back as well.